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Title:A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form PDF Logo
Authors:Fischer, Matthias
Issue Date:2012
Series/Report no.:IWQW Discussion Paper series 03/2012
Abstract:We introduce a new skewed and leptokurtic distribution derived from the hyperbolic secant distribution and Johnson's S transformation. Properties of this new distribution are given. Finally, we empirically demonstrate in the context of financial return data that its exibility is comparable to that of their most advanced peers.
Subjects:hyperbolic secant distribution
polynomial tails
Document Type:Working Paper
Appears in Collections:FAU Discussion Papers in Economics, Friedrich-Alexander-Universität Erlangen-Nürnberg

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